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January 24, 2010   Posted in: Articles On Building Wealth  3 Comments

7 Free Trading Systems and Their Returns From The Last 13 Years

TS1This excerpt from the free trading systems is for educational purposes only and is not to be interpreted as trading or investment advice.  See Terms Of Use here.

Free Trading Systems And Their Results

Here are seven free trading systems for you to look at and compare over the last 13 years.  Their rules are fully disclosed, and you can see their return, maximum drawdown and equity curve here as well.  They are not intended to be used directly Рrather seeing these should give you ideas and a good basis for creating your own trading system.

All systems began with¬†a starting equity of $50,000.¬† The actual buys and sells were done at open the day after the trading signal, simulating an EOD trading system you could scan at night if you worked full time.¬† The position sizing used was five percent of total equity in each trade, with a maximum of 20 open positions at any one time.¬† Check them out, and don’t forget to leave a comment in the section below!

Trading System 1: Highest High Trading System

This trading system uses the “Highest High” of the last “x”¬†days function.

The entry criteria is:

  • Buy on a close above the Highest High of the last 85 days.
  • Sell on a close below the Lowest Low of the last 35 days.
  • Index Filter:¬† The All Ordinaries must be over its 100 day Moving Average to buy.

The results from January 2000 to August 2013 were:

  • Average Annual Return:¬† 23.51% p.a.
  • Maximum Drawdown:¬†¬†¬†¬† 21.50% p.a.
  • Win Percentage:¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†¬† 44.38% p.a.
  • Amount of Trades:¬†¬†¬†¬†¬†¬†¬†¬† 347
  • Ending Capital:¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†$833,000

Click the pictures below to enlarge – Equity, Drawdown, and Profit Distribution:

HHV_Equity     HHV_Drawdown     HHV_ProfitDist

 Here is the article on how to code the Highest Highs Trading System in Amibroker.

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Trading System 2: Moving Average Channel Trading System

This trading system uses a “Moving Average Channel”.

The entry criteria is:

  • Buy on a close above the upper band of a 170 day Moving Average¬†Channel.¬† The band is set to 10% above the moving average.
  • Sell on a close below the 170 day Moving Average itself.
  • Index Filter:¬† The All Ordinaries must be over its 100 day Moving Average to buy.

The results from January 2000 to August 2013 were:

  • Average Annual Return:¬† 23.49% p.a.
  • Maximum Drawdown:¬†¬†¬†¬† 28.58% p.a.
  • Win Percentage:¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†¬† 41.18% p.a.
  • Amount of Trades:¬†¬†¬†¬†¬†¬†¬†¬†¬† 408
  • Ending Capital:¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†$882,000

Click the pictures below to enlarge – Equity, Drawdown, and Profit Distribution:

   MAC_Equity     MAC_Drawdown     MAC_ProfitDist

Here is the article on how to code the Moving Average Channel system in Amibroker.

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Trading System 3: Bollinger Band Trading System

Although Bollinger Band trading systems have been around for decades in various forms, this particular version was made famous by legendary Australian trader Nick Radge in his book “Unholy Grails”.¬† If you have not got a copy of this book, I highly recommend you get one.

The entry criteria is:

  • Buy on a close above the upper band of Bollinger Band – 3 deviations of a 100 day Moving Average
  • Sell on a close below the lower band of a Bollinger Band –¬†1 deviation of a 100 day Moving Average
  • Index Filter:¬† The All Ordinaries must be over its 75 day Moving Average to buy.

The results from January 2000 to August 2013 were:

  • Average Annual Return:¬† 26.29% p.a.
  • Maximum Drawdown:¬†¬†¬†¬† 25.44% p.a.
  • Win Percentage:¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†¬† 51.16% p.a.
  • Amount of Trades:¬†¬†¬†¬†¬†¬† ¬†¬† 303
  • Ending Capital:¬†¬†¬†¬†¬†¬†¬†¬†¬† ¬†¬†¬†¬†¬†$1,196,000

Click the pictures below to enlarge – Equity, Drawdown, and Profit Distribution:

     BBO_Equity      BBO_Drawdown      BBO_ProfitDist

Here is the article on how to code the Bollinger Band Breakout trading system in Amibroker.

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Trading System 4: Moving Average Crossover Trading System

This trading system is based on the first trading system ever created, and used in many variations since.  It is a simple moving average crossover.

The entry criteria is:

  • Buy when a 60 day Moving Average closes above a 90 day Moving Average.
  • Sell when a 60 day Moving Average closes below a 90 day Moving Average.
  • Stop Loss: 10 Percent Initial Stop Loss.

The results from January 2000 to August 2013 were:

  • Average Annual Return:¬† 27.73% p.a.
  • Maximum Drawdown:¬†¬†¬†¬† 33.97% p.a.
  • Win Percentage:¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†42.97% p.a.
  • Amount of Trades:¬†¬†¬†¬†¬†¬†¬†¬† 768
  • Ending Capital:¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†$1,347,000

Click the pictures below to enlarge – Equity, Drawdown, and Profit Distribution:

      MACross_Equity     MACross_Drawdown      MACross_ProfitDist

Here is the article on how to code the Moving Average Crossover trading system in Amibroker.

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Trading System 5: Sell In May And Go Away Trading System

This is the old adage of “Sell in May and Go Away, and don’t come back ’til Labour Day”.¬† Another market “truism” is the Santa Claus Rally, which is supposed to start in November each year.

The entry criteria is:

  • Buy in November, provided the stock is above its 150 day Moving Average.
  • Sell everything in May and go away.

The results from January 2000 to August 2013 were:

  • Average Annual Return:¬† 9.19% p.a.
  • Maximum Drawdown:¬†¬†¬†¬† 31.37% p.a.
  • Win Percentage:¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†¬† 67.57% p.a.
  • Amount of Trades:¬†¬†¬†¬†¬†¬†¬† ¬† 259
  • Ending Capital:¬†¬†¬†¬†¬†¬†¬†¬†¬†¬† ¬†¬†¬†¬†$165,000

Click the pictures below to enlarge – Equity, Drawdown, and Profit Distribution:

      May_Equity      May_Drawdown      May_ProfitDist

 Here is the article on how to code the Sell In May and Go Away trading system in Amibroker.

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Trading System 6: Leap Of Faith (Trading Gaps) Trading System

The Leap of Faith trading system uses the age old technique of price gaps, with a little added code to ensure price is moving in the direction we want.

The entry criteria is:

  • Buy when the low of todays bar is higher than the high of yesterday’s bar (a gap), and the close is greater than the opening price.¬†¬† Price must also be above its 50 day Moving Average.
  • Sell when the high of todays bar is lower than the low of yesterday’s bar (a gap), and the close is lower than the opening price – OR below its 100 day Moving Average.
  • Index Filter:¬† The All Ordinaries must be over its 150 day Moving Average to buy.

The results from January 2000 to August 2013 were:

  • Average Annual Return:¬† 24.75% p.a.
  • Maximum Drawdown:¬†¬†¬†¬† 23.29% p.a.
  • Win Percentage:¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†¬† 41.30% p.a.
  • Amount of Trades:¬†¬†¬†¬†¬†¬†¬†¬†¬†1942
  • Ending Capital:¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†$1,013,000

Click the pictures below to enlarge – Equity, Drawdown, and Profit Distribution:

  Gap_Equity      Gap_Drawdown     Gap_ProfitDist

Here is the article on how to code the Gap trading system in Amibroker.

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Trading System 7: Moving Average Up, Moving Average Down Trading System

Using the “Ref” function in Amibroker, you can refer to previous bars of the same signal.¬† This trading system uses Ref to tell us if a Moving Average is pointing up, or pointing down.

The entry criteria is:

  • Buy when the 125 day Moving Average is greater than the 125 day Moving Average from 25 days ago.
  • Sell when the 125 day Moving Average is lower than the 125 day Moving Average from 25 days ago.
  • Index Filter:¬† The All Ordinaries must be over its 100 day Moving Average to buy.

The results from January 2000 to August 2013 were:

  • Average Annual Return:¬† 33.24% p.a.
  • Maximum Drawdown:¬†¬†¬†¬† 30.29% p.a.
  • Win Percentage:¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†¬† 43.70% p.a.
  • Amount of Trades:¬†¬†¬†¬†¬†¬†¬†¬† 270
  • Ending Capital:¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†¬†$2,482,000

Click the pictures below to enlarge – Equity, Drawdown, and Profit Distribution:

  MAup_Equity      MAup_Drawdown     MAup_ProfitDist

Here is the article on how to code the Moving Average Up and Down trading system in Amibroker.

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If This Has Helped You, Please Leave A Comment

The aim of these posts is to help people find their own method for trading and investing, and then to code it if they want to, but also to have enough information to avoid the hundreds of market sharks and under-handed (or under-educated) advisors out there.  Knowledge is power, but it is even more powerful if you take it and make it your own.

I would love to know how you’ve used these ideas, or modified them to suit your own needs.¬† Please leave a comment in the section below.

Happy trending,

Dave McLachlan

August 11, 2013  Tags: , , ,   Posted in: Amibroker, Articles On Building Wealth, Trading System  20 Comments

Trading System – Trading Gaps And Returning 24% p.a. – How To Code In Amibroker

Beginners Course  |  Intermediate Course  |  Amibroker Course

Trading Gaps in price has been used for many decades (if not over a century) by traders from all around the world to turn a profit.¬† But how successful is this method in today’s market?¬† Does it still apply and can we still use it to turn a profit?

In this video we create a trading system using Gaps in price – in other words the low of today’s bar is higher than the high of yesterday’s bar, creating a gap.¬† We also add a little code to ensure the Closing price is greater than the Opening price, meaning that the momentum followed through.

Then we add a condition for price to be above its 50 day Moving Average for a buy, or below its 100 day moving average for a sell, and to smooth out the drawdowns we add an Index Filter as well.

The trading system used five percent of its equity in each trade, with a maximum of 20 positions open at one time, using position sizing.¬† Entries were set at the open of the next trading day, to simulate a proper End of Day data scan when you are working full time and can’t check the markets during the day.

Check out the video below!

http://youtu.be/RFE2A_hbfho

The Results:

The results of the moving average pointing up trading system:

  • On an ASX 200 list over 13 years:
  • Win Percent: 38%
  • Average Annual Return: 28% p.a.
  • Maximum System Drawdown: 39%
  • Adding an XAO Index Filter of 150 day moving average:
  • Win Percent: 41%
  • Average Annual Return: 24% p.a.
  • Maximum System Drawdown: 23%

Obviously, these are just ideas that you can use for your own trading systems Рthey are not complete trading systems themselves.  It is wise to test this trading system yourself, add parts or modify to suit your own needs, being aware of your maximum drawdown pain threshold and understand the need to test on out-of-sample data.

But it is a great look at another trading system, how to trade gaps and code them in Amibroker!

Like this post?  Leave a comment in the section below.

Happy trending,

Dave McLachlan

Other Amibroker Articles and Videos

Lessons On Trading Systems

August 11, 2013  Tags: , , , ,   Posted in: Amibroker, Trading System  6 Comments

Let’s Learn Amibroker: Using IIF (If, Then, Else)

Beginners Course  |  Intermediate Course  |  Amibroker Course

Sometimes in Amibroker we want to be able to do something, but only if a certain condition is met.¬† For example we might want to have a faster exit to our stock if we’ve been in it too long, or maybe¬†change our entry criteria if an Index is moving up. ¬†To do this, we can use the IIF (If, Then, Else) function in Amibroker.

In this video we are going to use our IIF (If, Then Else) to change the colour of a Moving Average.  So in other words:

  • If:¬†¬†¬†¬†¬†¬†¬†¬†¬† If our moving average is pointing up
  • Then:¬†¬† Then return the colour green
  • Else:¬†¬†¬†¬† (If it is pointing down) return the colour red

Pretty simple eh?  And Amibroker makes it even simpler by the use of this code.

Check out the video below!

You can also check out the video on Plotting your trading system, as we use that function to plot our colour-changing moving average.

The code for IIF is:

  • IIF( ARRAY or condition, Value if True, Value if False);

For example in our colour changing Moving Average, we used:

  • IIF(MovingAv > MovingAvPrev, ColorGreen, ColorRed);

So it returns the colour green if our condition is met, but the colour red if it is not met.

Try It Out For Yourself

So now you have the basics of If Then Else.  Try it out with different conditions and different results!  I hope it helps you on your trading system journey.

Happy trending,

Dave McLachlan

Other Amibroker Articles and Videos

Lessons On Trading Systems

August 11, 2013  Tags: , , ,   Posted in: Amibroker  7 Comments

Amibroker Trading System: Referring to Previous Signals For MAup Trading System

Beginners Course  |  Intermediate Course  |  Amibroker Course

When creating a trading system, sometimes we might want to refer to a previous bar or signal.¬† We could then compare it to today’s signal as part of our entry or exit criteria.

Using the “Ref” function in Amibroker is an easy way to compare previous signals, no matter what indicator or Array you are using.

This video also shows us a trading system that uses the Ref function to determine if today’s Moving Average is higher or lower than the same Moving Average from 25 days ago – in other words if it is pointing upwards or downwards.

Check out the video below!

The Results:

The results of the moving average pointing up trading system:

  • On an ASX 200 list over 13 years:
  • Win Percent: 40%
  • Average Annual Return: 33% p.a.
  • Maximum System Drawdown: 54%
  • Adding an XAO Index Filter of 125 day moving average:
  • Win Percent: 44%
  • Average Annual Return: 38% p.a.
  • Maximum System Drawdown: 40%

Using the same system on the Top 100, the results drop dramatically as we lose the benefit of small cap shares making outsized gains.  The average annual return becomes 17%, but the maximum draw down also drops to 31%.  The win percentage stays around the same, at 45%.

Obviously, these are just ideas that you can use for your own trading systems Рthey are not complete trading systems themselves.  It is wise to test this trading system yourself, add parts or modify to suit your own needs, being aware of your maximum drawdown pain threshold and understand the need to test on out-of-sample data.

But it is a great look at another trading system, how to use¬†the “Ref” function to refer to previous bars or signals, and how to code them in Amibroker!

Like this post?  Leave a comment in the section below.

Happy Trending,

Dave McLachlan

Other Amibroker Articles and Videos

Lessons On Trading Systems

August 11, 2013  Tags: , , , , , ,   Posted in: Articles On Building Wealth, Trading System  5 Comments

Chart Watch – America’s Final Elliott Wave Up? China’s Single Day Bottom, Dave Buying In Energy

W1This Market Watch is for educational purposes only and is not to be interpreted as trading or investment advice.  See Terms Of Use here. 

Let’s take a little trip back to where it all began¬†– looking at charts from around the world to gauge where the world markets might be heading.¬† I know I’ve been doing a lot on automatic trading systems lately, but when I started it was just visual signals based on a few simple things like trend lines, Fibonacci retracements and Elliott Wave.¬† Obviously this a mixed bag – solid trend following signals and a few more esoteric signals thrown in for a bit of fun.

Last time we spoke I told you about the S&P 500 and its Elliott Wave 5, typically this is¬†the last wave up in an Elliott Wave count.¬† From a more solid signal perspective, it also coincided with a continuation pattern (or “flag” pattern, as it’s sometimes called), which has broken out to the upside.

We also look at China, the Shanghai Composite, where the single bar bottom we spoke about last time has given us a short term up trend.¬† We also look at the long term trend in China, which is significantly down.¬† A lot of resistance there in the long term, but short term it’s up.

We also look at a few energy companies I’m buying into at the moment – I noted them on Twitter a few days ago.¬† Nothing fancy, just a few entry signals in¬†companies and my stop losses, as always, are in.

Check out the video below!

http://youtu.be/iPWIB67yXAE


Hope you enjoy the video!

Of course please do your own due diligence ‚Äď a great place to start is the free trading and investment course on this site.¬† We also have a free stock market course for beginners, and a Free Amibroker Course.¬† Check out our free live¬†ASX Top 200 prices and charts list with daily top movers, currencies¬†and commodities like gold and oil as well.¬† They‚Äôre really good!

Like this post?  Leave a comment in the section below.

All the best, happy trending and have an amazing week!

Dave McLachlan

July 14, 2013  Tags: , , , , , , , ,   Posted in: ASX, Market Analysis, Market Watch Weekly  No Comments